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Article Dans Une Revue Management Science Année : 2019

Risk Aversion and Precautionary Savings in Dynamic Settings

Résumé

We study the saving behavior of infinitely long-lived agents who face income uncertainty and deterministic interest rates. Using monotone recursive preferences, we prove that risk aversion unambiguously increases savings. The result accounts for possibly binding borrowing constraints and holds for very general specification of income uncertainty, which can follow any kind of stochastically monotone process.
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hal-02312171 , version 1 (27-02-2020)

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Antoine Bommier, François Le Grand. Risk Aversion and Precautionary Savings in Dynamic Settings. Management Science, 2019, 65 (3), 1386-1397 p. ⟨10.1287/mnsc.2017.2959⟩. ⟨hal-02312171⟩

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